Search Results - subject:"Fractional Fokker–Planck equation"

Variational time-fractional mean field games

Tang, Qing; Camilli, Fabio - In: Dynamic games and applications : DGA 10 (2020) 2, pp. 573-588

Persistent link: https://www.econbiz.de/10012626351

Option pricing in a subdiffusive constant elasticity of variance (CEV) model

Tong, Kevin Z.; Liu, Allen - In: International journal of financial engineering 6 (2019) 2, pp. 1-21

Persistent link: https://www.econbiz.de/10012167519

Anomalous dynamics of Black–Scholes model time-changed by inverse subordinators

Magdziarz, Marcin; Gajda, Janusz - Hugo Steinhaus Center for Stochastic Methods, … - 2012

distributions. We find the corresponding Fractional Fokker–Planck equation governing the probability density function of the …

Persistent link: https://www.econbiz.de/10010626152

Calibration of the subdiffusive Black–Scholes model

Orzel, Sebastian; Weron, Aleksander - Hugo Steinhaus Center for Stochastic Methods, … - 2009

In this paper we discuss subdiffusive mechanism for the description of some stock markets. We analyse the fractional Black–Scholes model in which the price of the underlying instrument evolves according to the subdiffusive geometric Brownian motion. We show how to efficiently estimate the...

Persistent link: https://www.econbiz.de/10010626147

Subdynamics of financial data from fractional Fokker-Planck equation

Janczura, Joanna; Wyłomańska, Agnieszka - Volkswirtschaftliche Fakultät, … - 2009

the fractional Fokker-Planck equation. In this paper we model market data using subdiffusion with a constant force. We …

Persistent link: https://www.econbiz.de/10009019724

Probabilistic characterization of nonlinear systems under α-stable white noise via complex fractional moments

Alotta, G.; Di Paola, M. - In: Physica A: Statistical Mechanics and its Applications 420 (2015) C, pp. 265-276

ruled by the so called Fractional Fokker–Planck equation. In such equation the diffusive term is the Riesz fractional …

Persistent link: https://www.econbiz.de/10011117906

Option pricing in subdiffusive Bachelier model

Magdziarz, Marcin; Orzel, Sebastian; Weron, Aleksander - Hugo Steinhaus Center for Stochastic Methods, … - 2011

superimposed on the Langevin dynamics.We find the corresponding fractional Fokker-Planck equation governing the probability density …

Persistent link: https://www.econbiz.de/10010626143

Effects of asymmetric Lévy noise in parameter-induced aperiodic stochastic resonance

Zeng, Lingzao; Xu, Bohou - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 22, pp. 5128-5136

Fokker–Planck equation and Monte Carlo simulations. After choosing the optimal detection threshold, it is shown that the … system performance is characterized by the bit error rate. Investigations are based on the numerical solution of the space-fractional …

Persistent link: https://www.econbiz.de/10011061032

Fluctuation-driven directed transport in the presence of Lévy flights

del-Castillo-Negrete, D.; Gonchar, V. Yu.; Chechkin, A.V. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 27, pp. 6693-6704

range 1<α<2. The second approach is based on the space fractional Fokker–Planck equation describing the corresponding …

Persistent link: https://www.econbiz.de/10011063754

Linear response and stochastic resonance of subdiffusive bistable fractional Fokker–Planck systems

Yim, M.Y.; Liu, K.L. - In: Physica A: Statistical Mechanics and its Applications 369 (2006) 2, pp. 329-342

stochastic systems described by the one-dimensional subdiffusive fractional Fokker–Planck equation with a general confining …

Persistent link: https://www.econbiz.de/10010873165